Markets Headlines/Desk Color

· US derivatives - US Indices: Market sold off in the morning to end unchanged. Vols were
mostly unchanged throughout the day until a slight pop towards the close due to more
sovereign debt concerns. Thin volumes throughout the day. Once again, there were sellers of
longer dated variance, and divs remain unusually well supported. There were better buyers of
Russel vol in general.

· PT desk color update - 1.13 to 1 better to buy - Moderate Flow; Large Cap 76% and Mid
Cap 21% of total Market Cap; Financials better to buy; Health Care, Industrials, and
Information Technology better to sell; ETF's 15% of sector flow

· Bond sales are drying up - Borrowers in the U.S. and Europe sold $3.94 billion of highgrade
securities this week, the least this year and less than 10 percent of the average $52.9
billion; returns for high-yield go negative on a YTD basis – Bloomberg